The investigation of style indices and active portfolio construction on the JSE

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorYu, Xiaoen_ZA
dc.date.accessioned2015-09-15T10:35:22Z
dc.date.available2015-09-15T10:35:22Z
dc.date.issued2008en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis thesis investigates the construction and performance of style indices on the JSE. It then demonstrates how a 'toolkit' of style indices can be used, together with conventional passive indices, as a set of building blocks for efficient portfolio construction. This study tests the performance of a variety of potential style indices representing 'size', 'value' and 'momentum' effects. Selected indices for each style together with JSE sector indices are subsequently utilised to replicate the returns obtained on actively managed domestic equity funds using Sharpe's (1988, 1992) style decomposition method. Finally, a 'toolkit' of selected style indices are employed as building blocks to construct mean-variance and mean-tracking error optimal portfolios at low cost.en_ZA
dc.identifier.apacitationYu, X. (2008). <i>The investigation of style indices and active portfolio construction on the JSE</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/14038en_ZA
dc.identifier.chicagocitationYu, Xiao. <i>"The investigation of style indices and active portfolio construction on the JSE."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2008. http://hdl.handle.net/11427/14038en_ZA
dc.identifier.citationYu, X. 2008. The investigation of style indices and active portfolio construction on the JSE. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Yu, Xiao AB - This thesis investigates the construction and performance of style indices on the JSE. It then demonstrates how a 'toolkit' of style indices can be used, together with conventional passive indices, as a set of building blocks for efficient portfolio construction. This study tests the performance of a variety of potential style indices representing 'size', 'value' and 'momentum' effects. Selected indices for each style together with JSE sector indices are subsequently utilised to replicate the returns obtained on actively managed domestic equity funds using Sharpe's (1988, 1992) style decomposition method. Finally, a 'toolkit' of selected style indices are employed as building blocks to construct mean-variance and mean-tracking error optimal portfolios at low cost. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - The investigation of style indices and active portfolio construction on the JSE TI - The investigation of style indices and active portfolio construction on the JSE UR - http://hdl.handle.net/11427/14038 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/14038
dc.identifier.vancouvercitationYu X. The investigation of style indices and active portfolio construction on the JSE. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/14038en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinanceen_ZA
dc.titleThe investigation of style indices and active portfolio construction on the JSEen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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